Just to let everyone know, I am only gonna use songs off the first 5 albums and The System has failed album because those are the only ones I like. Oh yeah and a few songs of The World Needs a Hero.
Megadeth set:

LAST RITES/LOVED YOU TO DEATH
SET THE WORLD AFIRE
WAKE UP DEAD
LIAR
TAKE NO PRISONERS
THE KILLING ROAD
RECKONING DAY
LOOKING DOWN THE CROSS
A TOUT LE MONDE
IN MY DARKEST HOUR
HANGAR 18
GOOD MOURNING/BLACK FRIDAY
TORNADO OF SOULS
RUST IN PEACE
ASHES IN YOUR MOUTH
SWEATING BULLETS
SYMPHONY OF DESTRUCTION
PEACE SELLS
HOLY WARS...THE PUNISHMENT DUE
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MY LAST WORDS

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You know its true, bunny rabbits we have got lovely little fluffy bottoms. We do. That's why people often mistake us for Danny Devito.

Into The Lungs of Hell/ Set The World Afire
Take No Prisoners
Wake Up Dead
Devils Island
Skull Beneath The Skin
In My Darkest Hour
Good Mourning/Black Friday
The Conjuring
Rattlehead
Sweating Bullets
Tornado of Souls
Ashes In Your Mouth
Mechanix
Hangar 18
Symphony of Destruction
Killing Is My Business... and Business Is Good!
My Last Words
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Last Rites/Loved To Deth
Peace Sells...But Who's Buying
Holy Wars...The Punishment Due